Report NEP-ECM-2026-03-16

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report:

• Alexander Mayer & Tatsushi Oka & Dominik Wied, 2026, "Local Gaussian copula inference with structural breaks: testing dependence predictability," Papers, arXiv.org, number 2603.01721, Mar.
• Bruno Ferman, 2026, "On the Use of Design-Based Simulations," Papers, arXiv.org, number 2603.11381, Mar.
• Stephen Salerno & Zhenke Wu & Tyler McCormick, 2026, "Spatially Robust Inference with Predicted and Missing at Random Labels," Papers, arXiv.org, number 2603.11368, Mar.
• Abid Hussain & Michail Tsagris, 2026, "Enhanced Lepage-type test statistics for location-scale shifts with right-skewed data," Working Papers, University of Crete, Department of Economics, number 2601, Mar.
• Alexander Aue & Sebastian Kuhnert & Gregory Rice & Jeremy VanderDoes, 2026, "An operator-level ARCH Model," Papers, arXiv.org, number 2603.10272, Mar, revised Mar 2026.
• Michail Tsagris & Yannis Pantazis, 2026, "The α–regression for compositional data: a unified framework for standard, spatially-lagged, spatial autoregressive and geographically-weighted regression models," Working Papers, University of Crete, Department of Economics, number 2603, Mar.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2026, "Information matrix tests for switching regressions," Working Papers, CEMFI, number wp2026_2601, Feb.
• Han Chen & Yijie Fei & Jun Yu, 2026, "Multivariate Stochastic Volatility Model with Block Correlations," Working Papers, University of Macau, Faculty of Business Administration, number 202638, Mar.
• Fotso, Chris Toumping & Özer, Yeliz & Palumbo, Dario & Sibbertsen, Philipp, 2026, "Dynamic Modelling of Heavy-Tailed Cylindrical Time Series," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-745, Mar.
• Milos Ciganovic & Federico D'Amario & Massimiliano Tancioni, 2026, "Double Machine Learning for Time Series," Papers, arXiv.org, number 2603.10999, Mar.
• Alexander Chudik & Lutz Kilian, 2026, "Mean Group and Pooled Mixed-Frequency Estimators of Responses of Low-Frequency Variables to High-Frequency Shocks," Working Papers, Federal Reserve Bank of Dallas, number 2603, Feb, DOI: 10.24149/wp2603.
• Lucas Kock & David T. Frazier & Michael Stanley Smith & David J. Nott, 2026, "Bayesian Modular Inference for Copula Models with Potentially Misspecified Marginals," Papers, arXiv.org, number 2603.11457, Mar, revised Apr 2026.
• Francesco Giancaterini & Alain Hecq & Joann Jasiak & Aryan Manafi Neyazi, 2026, "Shrinkage Regularization for (Non)Linear Serial Dependence Test," Papers, arXiv.org, number 2603.10152, Mar.
• Renan Serenini & Frantisek Masek, 2025, "Spatial Synthetic Difference-in-Differences," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 11/2025, Aug.
• Antoine Burg & Christophe Dutang, 2026, "Closed-form estimators for multivariate regressions models -a single categorical variable approach," Post-Print, HAL, number hal-05539060, Feb, DOI: 10.1007/s00180-025-01679-2.
• Campbell R. Harvey & Alessio Sancetta & Yuqian Zhao, 2026, "What Threshold Should be Applied to Tests of Factor Models?," NBER Working Papers, National Bureau of Economic Research, Inc, number 34898, Feb.
• Niko Hauzenberger Massimiliano Marcellino Michael Pfarrhofer Anna Stelzer, 2026, "Direct Gaussian Process Predictive Regressions with Mixed Frequency Data," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 26265.
• Yuichiro Otani, 2026, "Gimbal Regression: Orientation-Adaptive Local Linear Regression under Spatial Heterogeneity," Papers, arXiv.org, number 2603.10382, Mar, revised Mar 2026.
• Michail Tsagris & Omar Alzeley, 2026, "Scalable approximation of the transformation-free linear simplicial-simplicial regression via constrained iterative reweighted least squares," Working Papers, University of Crete, Department of Economics, number 2602, Mar.
• Chun Pang Chow & Hiroyuki Kasahara & Yoichi Sugita, 2026, "Identification and Estimation of Production Function and Consumer Demand Function under Monopolistic Competition from Revenue Data," Papers, arXiv.org, number 2603.01492, Mar.
• Abdulrahman Alswaidan & Jeffrey D. Varner, 2026, "Hybrid Hidden Markov Model for Modeling Equity Excess Growth Rate Dynamics: A Discrete-State Approach with Jump-Diffusion," Papers, arXiv.org, number 2603.10202, Mar, revised Apr 2026.
• Yinhuan Li & Chenxin Lyu & Ruodu Wang, 2026, "Adaptive Window Selection for Financial Risk Forecasting," Papers, arXiv.org, number 2603.01157, Mar.
• Bruno Petrungaro & Anthony C. Constantinou, 2026, "Econometric vs. Causal Structure-Learning for Time-Series Policy Decisions: Evidence from the UK COVID-19 Policies," Papers, arXiv.org, number 2603.00041, Feb.
• Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2026, "A robust approach to tilting: parametric relative entropy," Working Paper Series, European Central Bank, number 3200, Mar.
• Adir Saly-Kaufmann & Kieran Wood & Jan Peter-Calliess & Stefan Zohren, 2026, "Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted Performance," Papers, arXiv.org, number 2603.01820, Mar.

Report NEP-ECM-2026-03-16

This is the archive for NEP-ECM, a report on new working papers in the area of Econometrics. Sune Karlsson issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-ECM

The following items were announced in this report: